Steps:

Click 'Create Blockchain Assets Withdrawal Address'(a) on your accounts page.
You would be redirected to the following page, click (a), scroll down and select DAO.

Copy and paste your withdrawal address into (b) in image above, add a word into the extra flag section that describes the purpose of the address and if you have 2-factor authentication enabled type in your code into (c).

This is the most frustrating step, ensure that there is no space after the address that you type/paste into the box, also ensure you type in something/anything into the extra flag section, or else you will get a generation failed message when you click create. Lastly you would need to have some ETH in your account before you can request a withdrawal ~ minimum of 0.01ETH.
After successfully creating your 'Blockchain Asset Withdrawal Address', click the address flag(a) that just created as shown in the image below in the wihdrawal section.
Submit your withdrawal request:
Once successful (after 1-3mins), you would notice the change in your withdrawal address.

Errors:

Insufficient ETH in your account; You need at least a minimum of 0.01ETH in your account to be able to request a withdrawal.
Generation failed during 2. above,
1. Cause: extra space at the end of withdrawal address typed/pasted into the box,
  empty extra flag section.
2. Solution: delete all extra spaces after the withdrawal address and type in a description into extra flag section.
Human error due incorrect address typed/paste in during 2. above.

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